Loblaw Companies Limited Stock Market Value
| L Stock | CAD 178.14 0.88 0.50% |
| Symbol | Loblaw |
Loblaw Companies Price To Book Ratio
Loblaw Companies 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Loblaw Companies' stock what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Loblaw Companies.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in Loblaw Companies on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding Loblaw Companies Limited or generate 0.0% return on investment in Loblaw Companies over 30 days. Loblaw Companies is related to or competes with Metro, George Weston, Canadian Tire, Dollarama, and Canadian National. Loblaw Companies Limited, a food and pharmacy company, engages in the grocery, pharmacy, health and beauty, apparel, gen... More
Loblaw Companies Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Loblaw Companies' stock current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Loblaw Companies Limited upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.33 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 5.16 | |||
| Value At Risk | (1.93) | |||
| Potential Upside | 1.72 |
Loblaw Companies Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Loblaw Companies' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Loblaw Companies' standard deviation. In reality, there are many statistical measures that can use Loblaw Companies historical prices to predict the future Loblaw Companies' volatility.| Risk Adjusted Performance | 0.0522 | |||
| Jensen Alpha | 0.0208 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.152 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Loblaw Companies' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Loblaw Companies Backtested Returns
As of now, Loblaw Stock is very steady. Loblaw Companies has Sharpe Ratio of 0.0497, which conveys that the firm had a 0.0497% return per unit of risk over the last 3 months. We have found thirty technical indicators for Loblaw Companies, which you can use to evaluate the volatility of the firm. Please verify Loblaw Companies' Risk Adjusted Performance of 0.0522, mean deviation of 0.7853, and Downside Deviation of 1.33 to check out if the risk estimate we provide is consistent with the expected return of 0.0554%. Loblaw Companies has a performance score of 3 on a scale of 0 to 100. The company secures a Beta (Market Risk) of 0.4, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Loblaw Companies' returns are expected to increase less than the market. However, during the bear market, the loss of holding Loblaw Companies is expected to be smaller as well. Loblaw Companies right now secures a risk of 1.11%. Please verify Loblaw Companies Limited standard deviation, expected short fall, period momentum indicator, as well as the relationship between the maximum drawdown and rate of daily change , to decide if Loblaw Companies Limited will be following its current price movements.
Auto-correlation | -0.71 |
Almost perfect reverse predictability
Loblaw Companies Limited has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Loblaw Companies time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd of November 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Loblaw Companies price movement. The serial correlation of -0.71 indicates that around 71.0% of current Loblaw Companies price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.71 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 15.41 |
Loblaw Companies lagged returns against current returns
Autocorrelation, which is Loblaw Companies stock's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Loblaw Companies' stock expected returns. We can calculate the autocorrelation of Loblaw Companies returns to help us make a trade decision. For example, suppose you find that Loblaw Companies has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Loblaw Companies regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Loblaw Companies stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Loblaw Companies stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Loblaw Companies stock over time.
Current vs Lagged Prices |
| Timeline |
Loblaw Companies Lagged Returns
When evaluating Loblaw Companies' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Loblaw Companies stock have on its future price. Loblaw Companies autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Loblaw Companies autocorrelation shows the relationship between Loblaw Companies stock current value and its past values and can show if there is a momentum factor associated with investing in Loblaw Companies Limited.
Regressed Prices |
| Timeline |
Pair Trading with Loblaw Companies
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Loblaw Companies position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Loblaw Companies will appreciate offsetting losses from the drop in the long position's value.Moving together with Loblaw Stock
The ability to find closely correlated positions to Loblaw Companies could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Loblaw Companies when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Loblaw Companies - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Loblaw Companies Limited to buy it.
The correlation of Loblaw Companies is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Loblaw Companies moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Loblaw Companies moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Loblaw Companies can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in Loblaw Stock
Loblaw Companies financial ratios help investors to determine whether Loblaw Stock is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Loblaw with respect to the benefits of owning Loblaw Companies security.